Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0489
Annualized Std Dev 0.2448
Annualized Sharpe (Rf=0%) 0.1996

Row

Daily Return Statistics

Close
Observations 3603.0000
NAs 1.0000
Minimum -0.1506
Quartile 1 -0.0060
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0071
Maximum 0.1502
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0154
Skewness -0.2833
Kurtosis 12.8179

Downside Risk

Close
Semi Deviation 0.0112
Gain Deviation 0.0111
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.6034
Historical VaR (95%) -0.0229
Historical ES (95%) -0.0374
Modified VaR (95%) -0.0223
Modified ES (95%) -0.0322
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-11-14 -0.6034 1614 442 1172
2020-02-20 2020-03-23 2020-12-17 -0.4380 210 23 187
2018-01-24 2018-12-24 2019-06-10 -0.2693 341 231 110
2015-03-23 2016-02-11 2017-03-01 -0.1999 482 222 260
2017-03-02 2017-05-31 2017-09-28 -0.0957 147 63 84

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -1 -0.3 -0.9 -2.2
2007 1 -0.4 0.1 0.2 0.6 -0.9 0.9 1.2 2 -1.9 2.1 0.2 5.2
2008 1.3 -2.4 4.3 2.7 -0.5 0.9 0.5 -0.2 0.8 4.5 -8.6 4 6.7
2009 -4.5 -3.6 1.4 -1.4 2.3 1.6 0.3 -2.2 -2 -3 2.2 -0.5 -9.2
2010 0.2 0.5 0.5 -2.3 -2 -1.8 0.6 2.5 -0.5 -0.3 2.2 0.6 0.2
2011 2.3 -1.8 1.3 0.4 -1.7 1.2 -0.2 -2.5 -1.8 -4 0.3 -0.2 -6.7
2012 2.2 0 0.1 1.1 -3.4 2.8 -0.2 0 0 1.2 0.1 0.8 4.7
2013 1.6 -0.5 -0.4 -0.9 -1.2 0.6 1.7 -1.1 0.8 -0.7 0.8 0.4 1
2014 -1 0.5 1.2 0.5 -0.1 1 -0.2 0.9 -1.5 1.4 -1.4 -1.2 0.1
2015 -1.9 -0.1 -0.7 0.7 0.7 0.9 0.4 -2.6 -0.2 -2 0.4 -0.9 -5.2
2016 0.9 1.6 0.6 -0.7 0 -0.3 -0.6 -0.1 -0.1 -0.4 -1.1 0.7 0.6
2017 -0.2 3 -0.5 0.8 1.7 -0.2 0.5 0.3 0.5 0 -0.3 -0.2 5.3
2018 0.4 -1 1.2 0.5 1.1 0.3 0.1 -0.2 -0.5 -0.8 0.9 1 3
2019 0.7 0.3 1 0 0.1 1.1 -0.4 -0.1 -1.2 -0.1 0 0.2 1.6
2020 -1.7 -3.4 -5 -2.4 1.1 0.9 -0.3 0.6 0.6 -1.6 1 0.6 -9.3
2021 2.3 2.5 0.1 NA NA NA NA NA NA NA NA NA 4.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-10-12  25.2 SPY    136.  0.0087   0.0081   0.0307   0.103     0.160    0.299    0.239 GLD    57.5  0.0107   0.01  
2 2006-10-13  25.3 SPY    137.  0.0026   0.012    0.0333   0.108     0.164    0.298    0.248 GLD    58.6  0.0188   0.0277
3 2006-10-16  25.3 SPY    137.  0.0015   0.013    0.037    0.104     0.153    0.303    0.252 GLD    59.2  0.0102   0.0344
4 2006-10-17  25.2 SPY    136. -0.0031   0.0084   0.0323   0.0853    0.145    0.294    0.240 GLD    58.6 -0.0088   0.0289
5 2006-10-18  25.3 SPY    137.  0.0013   0.011    0.0363   0.0942    0.159    0.310    0.269 GLD    58.6 -0.001    0.0301
6 2006-10-19  25.1 SPY    137.  0.0016   0.0039   0.0325   0.104     0.142    0.302    0.274 GLD    59.4  0.014    0.0334
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart